QUALIFYING EXAM SYLLABUS

Tonci Antunovic
Committee: Sourav Chatterjee, Yuval Peres, Jim Pitman, Fraydoun Rezakhanlou (Chair),
Yun S. Song
Date: May 26th 2009

Major Topic: Stochastic Analysis (Probability)

Martingales and Optional Times: Filtrations and optional times; random time-change;
martingale property; optional stopping and sampling; maximum and upcrossing inequalities;
martingale convergence, regularity, and closure; limits of conditional expectations; regularization of submartingales.
Gaussian Processes and Brownian Motion: Existence and properties of Brownian motion; strong Markov and reflection properties; law of the iterated logarithm; recurrence and
transience; Skorokhod embedding; Donskers invariance principle.
Brownian Motion and Hausdorff dimension: Hausdorff dimension of graph, image and
zero set of Brownian motion; Kaufmans doubling theorem; polar sets and capacity; intersections of two independent Brownian motions.
Stochastic Integrals and Quadratic Variation: Continuous local martingales; quadratic
variation; existence and properties of integral; Itos formula; approximation and uniqueness;
random time-change.
Continuous Martingales and Brownian Motion: Martingale characterization of Brownian motion; random time changes of martingales; iterated and multiple integrals; integral
representation of martingales; change of measure and Girsanovs theorem; Cameron-Martin
theorem; Walds identity.
Local Time: Semimartingale local time; Tanakas formula; maximum process and local time
for Brownian motion; regularization of local times; occupation density.
Stochastic Differential Equations: Strong solutions and the Ito theory; weak solutions;
martingale problem and strong Markov property.
Connections with Partial Differential Equations: Harmonic function and Dirichlet
problem; One-dimensional heat equation; Feynman-Kac formula.
References: Olav Kallenberg, Foundations of Modern Probability; P. Morters, Y. Peres:
Brownian Motion; I. Karatzas & S.E. Shreve, Brownian Motion and Stochastic Calculus.
Major Topic: Partial Differential Equations (Classical Analysis)
Laplaces Equation: Fundamental solution; mean value formulas; properties of harmonic
functions; Dirichlets principle.
Heat Equation: Fundamental solution; initial-value and nonhomogeneous problems; meanvalue formula; regularity; energy methods.
First-Order Equations: Characteristics; local existence theorem.
Hamilton-Jacobi Equations: Hamiltons ODE; Legendre Transform; Hopf-Lax formula.
Conservation Laws: Shocks; entropy condition; Lax-Oleinik formula; weak solutions;
uniqueness.
Sobolev Spaces: H
older Spaces; weak derivatives; definition of Sobolev spaces; approximation by smooth functions; extensions; traces; Sobolev inequalities: Gagliardo-NirenbergSobolev and Morrey; compact embeddings.
Second-Order Elliptic Equations: Definitions of elliptic equations and weak solutions;
existence theorems for weak solutions; regularity; maximum principles.
Calculus of Variations: First and second variation; Euler-Lagrange equation; existence of
minimizers; regularity; constraints; critical points.
Reference: L.C. Evans, Partial Differential Equations

Minor Topic: Dynamical Systems (Classical Analysis)

Invariant Measures and Ergodic Theorems: Ergodicity; Mixing; von Neumann and
Birkhoff Ergodic Theorem.
Perron-Frobenious Operator, Liouville Equation
Entropy: Topological and metric entropy; Shannon-McMillan-Breiman theorem; Katok theorem.
Lyapunov Exponents: Kingmans subadditive ergodic theorem; Oseledets theorem.
Ergodicity of Hyperbolic Systems
Reference: F. Rezakhanlou, Lecture Notes